| Summary: | 碩士 === 臺灣大學 === 經濟學研究所 === 98 === The main purpose of this paper is to explore the correlation between Private Consumption Expenditure and Macrorconomic Variables. Private consumption expenditure is the main component of Taiwan’s GDP, but its growth rate declines significantly in near decade. Is this relevant to the change of economic environment? The issue seems to be worthy of our government’s concern. We attempt to examine the coefficient of private consumption and all macroeconomic variables, investigate the reason of lead-lag relation and the reason to affect private consumption expenditure of Taiwan and macroeconomic variables.
On the basis of research mechanism,first, examine the causation of private consumption expenditure and macroeconomic variables. Second, verify the interaction by using VAR module. Lastly, examine affects on private consumption and other macroeconomic variables by using regression analysis. The empirical model is derived from quantitative method such as Unit Root Test, Correlation Analysis, Granger Causality Test and Vector Auto-regression Model.
Following conclusions can be drawn from empirical result:
1. Interaction between macroeconomic variables and private consumption
(1) In Taiwan, the two-way causality of private consumption among macroeconomic variables includes: GDP, export, M1B, M2, CPI and unemployment rate; In addition, private consumption is only one-way causality to stock index, namely, stock index takes the lead in private consumption.
(2) In the lead-lag relation among private consumption and other macroeconomic variables, the results of VAR model based on M2 variables are:
- Private consumption one-way leads to GDP, CPI and unemployment rate.
- Export and M2 one-way lead to private consumption.
- There is no apparent causality between private consumption and real interest rate and foreign exchange rate.
- Private consumption is two-way causality to stock index.
The result of VAR model based on M1B variables are:
- Private consumption one-way leads to GDP, stock index and foreign exchange rate.
- Export and real interest rate one-way lead to private consumption.
- There is no apparent causality between private consumption and CPI.
- Private consumption is two-way causality to M1B and unemployment rate.
The results of lead-lag analysis of private consumption and other variables based on M1B and M2 variable are not all the same. The only identical result is private consumption one-way leads GDP.
2. Factors of Macroeconomic Variables affect Private Consumption:
(1) Private consumption has a positive impact on GDP, stock index, M1B, M2, real interest rate, CPI and Q1 & Q3 seasonal factor. Among these factors,
- The growth of GDP and stock index will cause private consumption increase. The phenomenon reflects that the increase of wealth or income will contribute the private consumption expenditure.
- The growth of M1B and M2 will also boost an increase in private consumption expenditure. It reflects that a loose monetary environment boosts private consumption.
- Private consumption has a positive impact on Q1 and Q3 seasonal factors. It reflects that the employee’s annual bonus and long vacation will stimulate private consumption.
- Higher real interest rate will cause more private consumption. It reflects that in a excess-saving country higher real interest rate will facilitate consumption.
- Higher CPI will also boost an increase in private consumption expenditure. The phenomenon reflects the economic turnaround.
(2) Private consumption has a negative impact on self-delay. It shows that private consumption has time lags and one period of time delay reflects on private consumption.
(3) Private consumption has a negative impact on export. It reflects that the impact of export against private consumption has time lags.
(4) Private consumption has a negative impact on unemployment rate. It reflects that the decline of unemployment rate will stimulate an increase in private consumption.
(5) Private consumption has a negative impact on Q2 seasonal factor. It shows that the households have to pay income tax in Q2, and then decrease their consumption.
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